Grasselli, Martino: search on Z-Library

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1

General closed-form basket option pricing bounds

Caldana, Ruggero, Fusai, Gianluca, Gnoatto, Alessandro, Grasselli, Martino

Journal:

Quantitative Finance

Year:

2016

Language:

english

File:

PDF, 542 KB

english, 2016

2

Smiles all around: FX joint calibration in a multi-Heston model

De Col, Alvise, Gnoatto, Alessandro, Grasselli, Martino

Journal:

Journal of Banking & Finance

Year:

2013

Language:

english

File:

PDF, 4.23 MB

english, 2013

3

A multifactor volatility Heston model

Da Fonseca, JosÉ, Grasselli, Martino, Tebaldi, Claudio

Journal:

Quantitative Finance

Year:

2008

Language:

english

File:

PDF, 262 KB

english, 2008

4

An Analytic Multi-Currency Model with Stochastic Volatility and Stochastic Interest Rates

Gnoatto, Alessandro, Grasselli, Martino

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 555 KB

english, 2013

5

A flexible spot multiple-curve model

Grasselli, Martino, Miglietta, Giulio

Journal:

Quantitative Finance

Year:

2016

Language:

english

File:

PDF, 1.43 MB

english, 2016

6

Pricing currency derivatives under the benchmark approach

Baldeaux, Jan, Grasselli, Martino, Platen, Eckhard

Journal:

Journal of Banking & Finance

Year:

2015

Language:

english

File:

PDF, 681 KB

english, 2015

7

SOLVABLE AFFINE TERM STRUCTURE MODELS

Martino Grasselli, Claudio Tebaldi

Journal:

Mathematical Finance

Year:

2008

Language:

english

File:

PDF, 150 KB

english, 2008

8

Optimal investment strategies in the presence of a minimum guarantee

Griselda Deelstra, Martino Grasselli, Pierre-François Koehl

Journal:

Insurance: Mathematics and Economics

Year:

2003

Language:

english

File:

PDF, 194 KB

english, 2003

9

Riding on the smiles

da Fonseca, José, Grasselli, Martino

Journal:

Quantitative Finance

Year:

2011

Language:

english

File:

PDF, 552 KB

english, 2011

10

Stochastic Skew and Target Volatility Options

Grasselli, Martino, Marabel Romo, Jacinto

Journal:

Journal of Futures Markets

Year:

2016

Language:

english

File:

PDF, 300 KB

english, 2016

11

An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates

Gnoatto, Alessandro, Grasselli, Martino

Journal:

SIAM Journal on Financial Mathematics

Year:

2014

Language:

english

File:

PDF, 684 KB

english, 2014

12

Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models

Da Fonseca, José, Gnoatto, Alessandro, Grasselli, Martino

Journal:

Operations Research Letters

Year:

2015

Language:

english

File:

PDF, 396 KB

english, 2015

13

Stochastic Jacobian and Riccati ODE in affine term structure models

Martino Grasselli, Claudio Tebaldi

Journal:

Decisions in Economics and Finance

Year:

2007

Language:

english

File:

PDF, 176 KB

english, 2007

14

Fair demographic risk sharing in defined contribution pension systems

Daniel Gabay, Martino Grasselli

Journal:

Journal of Economic Dynamics and Control

Year:

2012

Language:

english

File:

PDF, 220 KB

english, 2012

15

HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS

DA FONSECA, JOSÉ, GRASSELLI, MARTINO, IELPO, FLORIAN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2011

Language:

english

File:

PDF, 1.74 MB

english, 2011

16

THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL

Grasselli, Martino

Journal:

Mathematical Finance

Year:

2016

Language:

english

File:

PDF, 367 KB

english, 2016

17

Riding on the Smiles

Da Fonseca, José, Grasselli, Martino

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 751 KB

english, 2010

18

General Closed-Form Basket Option Pricing Bounds

Caldana, Ruggero, Fusai, Gianluca, Gnoatto, Alessandro, Grasselli, Martino

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 1.99 MB

english, 2014

19

Smiles All Around: FX Joint Calibration in a Multi-Heston Model

De Col, Alvise, Gnoatto, Alessandro, Grasselli, Martino

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 4.39 MB

english, 2012

20

Pricing via recursive quantization in stochastic volatility models

Callegaro, Giorgia, Fiorin, Lucio, Grasselli, Martino

Journal:

Quantitative Finance

Year:

2016

Language:

english

File:

PDF, 775 KB

english, 2016

21

VIX vs VXX: A Joint Analytical Framework

Grasselli, Martino, Wagalath, Lakshithe

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 5.43 MB

english, 2018

22

Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function

Da Fonseca, José, Grasselli, Martino, Ielpo, Florian

Journal:

Studies in Nonlinear Dynamics and Econometrics

Year:

2014

Language:

english

File:

PDF, 3.84 MB

english, 2014

23

Quantization meets Fourier: a new technology for pricing options

Callegaro, Giorgia, Fiorin, Lucio, Grasselli, Martino

Journal:

Annals of Operations Research

Year:

2018

Language:

english

File:

PDF, 813 KB

english, 2018

24

Optimal investment strategies in a CIR framework

Deelstra, Griselda, Grasselli, Martino, Koehl, Pierre-François

Journal:

Journal of Applied Probability

Year:

2000

Language:

english

File:

PDF, 132 KB

english, 2000

25

Bond Price and Impulse Response Function for the Balduzzi, Das, Foresi and Sundaram (1996) Model

Martino Grasselli, Claudio Tebaldi

Journal:

Year:

2004

Language:

english

File:

PDF, 179 KB

english, 2004

26

Stochastic Skew and Target Volatility Options

Grasselli, Martino, Marabel Romo, Jacinto

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 409 KB

english, 2014

27

The Role of the Dependence between Mortality and Interest Rates When Pricing Guaranteed Annuity Options

Deelstra, Griselda, Grasselli, Martino, Van Weverberg, Christopher

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 602 KB

english, 2015

28

A flexible matrix Libor model with smiles

Da Fonseca, José, Gnoatto, Alessandro, Grasselli, Martino

Journal:

Journal of Economic Dynamics and Control

Year:

2013

Language:

english

File:

PDF, 1.14 MB

english, 2013

29

The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options

Deelstra, Griselda, Grasselli, Martino, Van Weverberg, Christopher

Journal:

Insurance: Mathematics and Economics

Year:

2016

Language:

english

File:

PDF, 1.20 MB

english, 2016

30

Pricing Currency Derivatives Under the Benchmark Approach

Baldeaux, Jan F., Grasselli, Martino, Platen, Eckhard

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 472 KB

english, 2013

31

Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)

Callegaro, Giorgia, Grasselli, Martino, PagÃ¨s, Gilles

Journal:

Mathematics of Operations Research

Year:

2020

File:

PDF, 1.14 MB

2020

32

Optimal design of the guarantee for defined contribution funds

Griselda Deelstra, Martino Grasselli, Pierre-François Koehl

Journal:

Journal of Economic Dynamics and Control

Year:

2004

Language:

english

File:

PDF, 302 KB

english, 2004

33

Pricing and Calibration in Local Volatility Models Via Fast Quantization

Callegaro, Giorgia, Fiorin, Lucio, Grasselli, Martino

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 482 KB

english, 2014

34

Conditional dominance criteria: definition and application to risk-management

Griselda Deelstra, Martino Grasselli, Pierre-François Koehl

Journal:

Insurance: Mathematics and Economics

Year:

1999

Language:

english

File:

PDF, 115 KB

english, 1999

35

Notes and Comments:Sup-convolutions of HARA utilities in the affine term structure

Martino Grasselli

Journal:

Decisions in Economics and Finance

Year:

2005

Language:

english

File:

PDF, 125 KB

english, 2005

36

A Flexible Matrix Libor Model with Smiles

Gnoatto, Alessandro, Grasselli, Martino, Da Fonseca, José

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 1.86 MB

english, 2012

37

Option Pricing When Correlations are Stochastic: An Analytical Framework

Da Fonseca, José, Grasselli, Martino, Tebaldi, Claudio

Journal:

SSRN Electronic Journal

Year:

2006

Language:

english

File:

PDF, 329 KB

english, 2006

38

Hedging (Co)Variance Risk with Variance Swaps

Da Fonseca, José, Grasselli, Martino, Ielpo, Florian

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 1.87 MB

english, 2008

39

A stability result for the HARA class with stochastic interest rates

Martino Grasselli

Journal:

Insurance: Mathematics and Economics

Year:

2003

Language:

english

File:

PDF, 174 KB

english, 2003

40

Pricing range notes within Wishart affine models

Chiarella, Carl, Da Fonseca, José, Grasselli, Martino

Journal:

Insurance: Mathematics and Economics

Year:

2014

Language:

english

File:

PDF, 1.21 MB

english, 2014

41

The Explicit Laplace Transform for the Wishart Process

Gnoatto, Alessandro, Grasselli, Martino

Journal:

Journal of Applied Probability

Year:

2014

Language:

english

File:

PDF, 181 KB

english, 2014

42

The explicit Laplace transform for the Wishart process

Gnoatto, Alessandro, Grasselli, Martino

Journal:

Journal of Applied Probability

Year:

2014

Language:

english

File:

PDF, 217 KB

english, 2014

43

Option pricing when correlations are stochastic: an analytical framework

José Da Fonseca, Martino Grasselli, Claudio Tebaldi

Journal:

Review of Derivatives Research

Year:

2007

Language:

english

File:

PDF, 396 KB

english, 2007

44

Optimal Investment Strategies in a CIR Framework

Griselda Deelstra, Martino Grasselli and Pierre-François Koehl

Journal:

Journal of Applied Probability

Year:

2000

Language:

english

File:

PDF, 978 KB

english, 2000

45

Explosion Time for some Wishart Transforms

Deelstra, Griselda, Grasselli, Martino, Van Weverberg, Christopher

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 1.50 MB

english, 2014

46

Explosion time for some Laplace transforms of the Wishart process

Deelstra, Griselda, Grasselli, Martino, Van Weverberg, Christopher

Journal:

Stochastic Models

Year:

2019

Language:

english

File:

PDF, 2.05 MB

english, 2019

47

Abnormal NMDA receptor function exacerbates experimental autoimmune encephalomyelitis

Grasselli, G, Rossi, S, Musella, A, Gentile, A, Loizzo, S, Muzio, L, Di Sanza, C, Errico, F, Musumeci, G, Haji, N, Fresegna, D, Sepman, H, De Chiara, V, Furlan, R, Martino, G, Usiello, A, Mandolesi, G

Journal:

British Journal of Pharmacology

Year:

2013

Language:

english

File:

PDF, 2.28 MB

english, 2013

48

A Flexible Spot Multiple-Curve Model

Grasselli, Martino, Miglietta, Giulio

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 428 KB

english, 2014

49

Estimating the Wishart Affine Stochastic Correlation Model Using the Empirical Characteristic Function

Da Fonseca, José, Grasselli, Martino, Ielpo, Florian

Journal:

SSRN Electronic Journal

Year:

2007

Language:

english

File:

PDF, 742 KB

english, 2007

50

A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors

Alfeus, Mesias, Grasselli, Martino, Schlogl, Erik

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 1.37 MB

english, 2017

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